NOTICE TO MEMBERS No November 2, 2005

Transcription

1 NOTICE TO MEMBERS No November 2, 2005 MARGIN PARAMETERS FOR THE MONTRÉAL EXCHANGE DERIVATIVES INSTRUMENTS Pursuant to Rule A-7, CDCC updates on a regular basis its margin parameters: - margin intervals; - margin rates for inter-month spread for all futures contracts; - margin rates for consecutive and non-consecutive butterfly spreads for BAX futures contracts. Updated parameters will be implemented with processing of trades on November 7, For any further information, please contact the Risk Management Department at (514) ext Michel Favreau Senior Vice-President and Chief Clearing Officer 65 Queen Street West

2 Underlying A Abitibi Consolidated Inc % 13.77% ABX Barrick Gold Corporation 6.45% 12.15% ACE.RV ACE Aviation Holdings Inc. 9.31% 8.57% AEM Agnico-Eagle Mines Limited 8.69% 10.02% AL Alcan Inc. 7.66% 7.84% ALX Alcan Inc. (Adjusted) 6.94% 7.31% ATD.SV.B Alimentation Couche Tard Inc. 6.73% 6.78% ATY ATI Technologies Inc % 12.69% BAM.LV.A Brascan Corporation Class A 5.43% 5.63% BAX Three-month Canadian Bankers Acceptance Futures 0.18% 0.15% BBD.SV.B Bombardier Inc. Class B 13.52% 13.33% BCE BCE Inc. 6.75% 4.60% BLD Ballard Power Systems Inc % 15.63% BMO Bank of Montreal 3.95% 4.01% BNS Bank of Nova Scotia (The) 3.29% 3.45% BVF Biovail Corporation 24.26% 14.76% CAE CAE Inc. 9.70% 9.52% CCO Cameco Corporation 10.42% 10.64% CGB Ten-year Government of Canada Bond Futures 1.32% 1.25% CGZ Two-year Government of Canada Bond Futures 0.71% 0.45% CLS.SV Celestica Inc. 9.63% 11.00% CM Canadian Imperial Bank of Commerce 4.96% 4.87% CNQ Canadian Natural Resources Limited 9.41% 15.11% CNR Canadian National Railway Company 5.31% 5.14% COS-U Canadian Oil Sands Trust Units 9.71% 14.61% CP Canadian Pacific Railway Company 8.13% 6.90% CSN Cognos Incorporated 10.25% 8.23% DFS Dofasco Inc. 9.80% 8.28% ECA EnCana Corporation 8.48% 19.98% EME Emergis Inc. 8.88% 10.35% ERF-U Enerplus Resources Fund 5.76% 14.00% FAL.LV Falconbridge Limited 8.89% 13.10% FDG-U Fording Canadian Coal Trust 10.62% 15.92% G Goldcorp Inc. 8.23% 12.78% GIB.SV.A CGI Group Inc. 9.67% 7.64% GLG Glamis Gold Ltd % 9.86% HSE Husky Energy Inc. 7.55% 10.99%

3 Underlying IMG IAMGold Corporation 10.37% 10.26% IMO Imperial Oil Limited 8.19% 17.37% IPS Ipsco Inc % 14.65% JDU JDS Uniphase Canada Ltd % 14.18% K Kinross Gold Corporation 12.38% 12.91% L Loblaw Companies Limited 3.93% 3.96% MBT Manitoba Telecom Services Inc. 5.41% 4.77% MDS MDS Inc. 9.04% 8.47% MFC Manulife Financial Corporation 4.37% 3.86% MG.SV.A Magna International Inc. Class A 6.15% 7.35% MNG Meridian Gold Inc % 12.34% MRU.SV.A Metro Inc. 8.30% 8.85% MX Methanex Corporation 7.48% 9.23% N Inco Limited 7.56% 7.35% NA National Bank of Canada 4.10% 3.71% NBD Norbord Inc. 7.39% 7.38% NCX NOVA Chemicals Corporation 9.43% 8.84% NKO Niko Resources Ltd 13.17% 11.91% NRM Neurochem Inc % 15.41% NT Nortel Networks Corporation 12.67% 12.31% NXY Nexen Inc % 14.80% ONX 30 day Overnight Repo Rate 0.21% 0.19% OPC Opti Canada Inc % 11.84% OTC Open Text Corporation 12.46% 10.98% PAA Pan American Silver Corp % 9.98% PCA Petro-Canada 7.73% 9.63% PD Precision Drilling Corporation 7.09% 9.54% PDG Placer Dome Inc. 9.96% 21.64% PJC.SV.A The Jean Coutu Group (PJC) Inc. 7.02% 14.87% PKQ PetroKazakhstan Inc % 12.36% POT Potash Corp of Saskatchewan 9.66% 13.55% PWT-U Penn West Energy 10.60% 10.50% QLT QLT Inc % 11.89% RCI.NV.B Rogers Communications Inc. Class B 6.38% 6.22% RIM Research In Motion Limited 12.94% 12.85% RON Rona Inc. 7.14% 10.45% RY Royal Bank of Canada 4.24% 4.09% SC Shoppers Drug Mart Corporation 4.16% 4.09%

4 Underlying SHC Shell Canada Ltd. 7.24% 12.23% SJR.NV.B Shaw Communications Inc. (Class B) 5.73% 5.64% SLF Sun Life Financial Inc. 4.85% 4.23% SU Suncor Energy Inc. 8.75% 15.39% SW Sierra Wireless, Inc % 18.49% SXA S&P/TSX Capped Gold Index Futures 7.96% 9.73% SXB S&P/TSX Capped Financials Index Futures 2.90% 2.67% SXF S&P Canada 60 Index Futures 2.99% 4.83% SXH S&P/TSX Capped Information Technology Index Futures 6.80% 6.39% SXO S&P Canada 60 Index Options 2.87% 4.76% SXY S&P/TSX Capped Energy Index Futures 6.28% 13.10% T TELUS Corporation 6.31% 6.07% TA TransAlta Corporation 5.62% 10.71% TAP.NV Molson Coors Brewing Company 5.18% 5.31% TD The Toronto-Dominion Bank 3.72% 3.42% TEK.SV.B Teck Cominco Limited Class B 9.58% 9.62% TEU CP Ships Limited 8.43% 7.78% TLM Talisman Energy Inc. 8.43% 15.18% TOC The Thomson Corporation 3.39% 5.39% TRP TransCanada Corporation 5.27% 4.51% USX US DOLLAR 2.24% 2.26% WJA WestJet Airlines Ltd % 14.56% WTO Western Oil Sands Inc % 15.14% X TSX Group Inc % 9.69% XEG Options on iunits S&P/TSX Capped Energy Index Fund 6.15% 13.38% XFN Options on iunits S&P/TSX Capped Financials Index Fund 2.57% 2.70% XGD Options on iunits S&P/TSX Capped Gold Index Fund 8.62% 9.52% XIT Options on iunits S&P/TSX Capped Information Technology Index Fund 5.78% 5.63% XIU Options on iunits S&P/TSX60 Index Fund 2.71% 5.01%

5 rates for «spread» transactions Futures Inter-month Spread s Inter-month Spread s BAX $100 $100 CGB $200 $200 CGZ $200 $200 ONX $132 $132 SXA $100 $100 SXB $100 $100 SXF $350 $350 SXH $100 $100 SXY $100 $100 rates for «Butterfly» spread transactions Futures Consecutive Consecutive BAX $83 $83 Futures Non-Consecutive Non-Consecutive BAX $140 $140